Re: [Gretl-users] Residual correlation matrix
On Fri, 14 Jan 2011, Henrique Andrade wrote:
Em 14 de janeiro de 2011 Olle Olsson <olssonolle(a)gmail.com>
escreveu:
Is there a command available to retrieve the residual correlation matrix
> returned after performing a normality test (following a VAR estimation)?
Dear Olle, I don't know if there is a command for this, but you can use a
small script:
open australia.gdt
var 4 lpus le lpau
loop i=1..3
series uhat$i = $uhat[,$i])
endloop
YourMatrix <- corr uhat1 uhat2 uhat3
Or:
open australia.gdt
var 4 lpus le lpau
matrix MC = mcorr($uhat)
print MC
Allin Cottrell